Can GARCH-class models capture long memory in WTI crude oil markets?

Economic Modelling

Volumn 28, Issue 3, 2011, Pages 921-927

  Wang, Yudong ^a   Wu, Chongfeng ^a   Wei, Yu ^b  

^a Shanghai Jiao Tong University   (China)

^b SOUTHWEST JIAOTONG UNIVERSITY   (China)

Author keywords

Crude oil markets; Detrended fluctuation analysis; GARCH class models; Long memory; Rescaled range analysis

Indexed keywords

EID: 79953045721     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econmod.2010.11.002     Document Type: Article

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